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Volatility stays bid with continued market weakness

Oct 05, 2018

Options Market Commentary

Equities started the day unchanged, but around 10:30 yesterday’s sell-off continued with markets getting hit fairly hard. We are now near lows of the day with the S&P -.7, the Nasdaq -1.5%, and the Russell -1.2%. Selling is broad-based, however Technology is a notable laggard, down 1.5%. Biotechs are hard hit as well -1.6%. Utilities and Real Estate are outperformers with XLU +1.2% and IYR +.3%. Bonds continue their sell-off -.88% on TLT with the 10-year yield rising to 3.238%. Gold is modestly higher.  Energy stocks are lower with the market, XOP -1.1% and XLE -.4% even as crude oil is higher with WTI +.2%. Volatilities are higher with the VIX +17% to 16.74, RVX +10% to 20.14, and VXN +16% to 23.29.

 

ETF 30D Volatility Changes

SPY:       +14%

IWM:     +10%

QQQ:     +14%

 

Directional Options Strategies

Bullish Option Strategies

TWTR Buyer 3,700 Oct 26th 31 call options (Earnings 10/25, ref. 28.63)

BKS Buyer 6,800 Apr 6 call options (ref. 6.84)

PBR Buyer 15,000 Nov 16 – 18 call options spreads (ref. 13.91)

PBR Buyer 130,000 Oct 16 – 17 call options spreads tied to stock (ref. 13.87)

JBGS Buyer 3,500 Jan 40 – 50 call options spreads (ref. 36.33)

MDR Buyer 5,300 Feb 20 call options (Earnings 10/31, ref. 17.48)

MAT Buyer 10,000 Oct 26th 15 call options (ref. 14.16)

 

Bearish Option Strategies

GE Buyer 37,500 Nov 12 -10 put options spreads (ref. 13.17)

NIO 6,400 Nov 7 and Feb 6 put options trade (ref. 6.05)

GM Buyer 3,000 Nov 2nd 33 – 30.5 put options spreads (Earnings 10/31, ref. 34.33)

BBD Seller 8,000 Nov 11 call options to Buy 8,000 Oct 7 put options (ref. 8.06)

 

Macro Options Strategies

Bullish Option Strategies

GLD Buyer 3,000 Jan 116 – 122 call options spreads (ref. 113.68)

EMB Seller 10,000 Dec 104 put options (ref. 105.79)

 

Bearish Option Strategies

USO Seller 20,000 Jan 19 call options to Buy 20,000 Jan 13.5 put options (ref. 15.77)

FXI Buyer 17,000 Jan 35 put options (ref. 40.61)

 

 

Finance Trades Options Strategies

CBS 4,000 Nov 52.5 RC trade (ref. 56.34)

 

 

 

Upcoming Earnings

 

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

FAST

10/10/2018

6.6

5.4

21.5%

A

10597

WBA

10/11/2018

3.9

4.0

-2.7%

B

68355

DAL

10/11/2018

3.3

2.1

53.6%

C

124177

C

10/12/2018

3.1

1.5

103.3%

C

479200

JPM

10/12/2018

2.5

1.3

88.4%

C

652171

WFC

10/12/2018

3.1

1.9

67.1%

C

356717

PNC

10/12/2018

2.7

1.0

169.8%

B

34756

CE

10/15/2018

5.5

2.9

91.5%

A

5821

BAC

10/15/2018

3.2

1.4

130.2%

C

758301

SCHW

10/15/2018

4.1

1.7

139.0%

C

30127

OMC

10/16/2018

5.3

3.9

35.0%

C

9732

NFLX

10/16/2018

9.7

8.0

21.4%

C

3210196

DPZ

10/16/2018

5.9

4.7

24.1%

B

25284

BLK

10/16/2018

3.6

1.7

108.5%

A

72321

CMA

10/16/2018

3.5

2.3

47.2%

B

10846

GS

10/16/2018

3.4

1.9

76.8%

C

526533

IBKR

10/16/2018

4.8

2.4

95.2%

D

3894

MS

10/16/2018

3.9

1.7

128.1%

D

169905

PGR

10/16/2018

3.1

1.9

66.5%

A

9351

JNJ

10/16/2018

2.7

2.7

0.7%

B

331764

UNH

10/16/2018

3.0

2.6

15.3%

A

209216

UAL

10/16/2018

5.4

6.5

-17.1%

C

99628

GWW

10/16/2018

7.8

8.8

-12.0%

C

40047

JBHT

10/16/2018

5.2

2.5

105.8%

B

4238

CSX

10/16/2018

5.1

4.6

11.2%

A

69980

PLD

10/16/2018

2.3

2.3

1.3%

D

2826

IBM

10/16/2018

4.5

4.7

-5.1%

C

379992

LRCX

10/16/2018

5.5

4.1

35.0%

C

144139

CREE

10/16/2018

8.4

7.2

16.8%

D

28094

AA

10/17/2018

5.9

6.0

-2.8%

C

64435

STLD

10/17/2018

4.1

2.9

44.9%

A

5525

WGO

10/17/2018

9.3

7.2

30.1%

D

6417

CCK

10/17/2018

4.1

2.2

87.4%

D

82926

EBAY

10/17/2018

6.9

7.1

-3.3%

D

69002

KMI

10/17/2018

3.3

2.6

28.5%

C

30484

NTRS

10/17/2018

3.7

3.2

13.7%

B

5968

MTB

10/17/2018

3.0

2.4

24.2%

A

7456

USB

10/17/2018

2.7

1.2

120.9%

B

62365

MTG

10/17/2018

6.8

4.2

61.6%

C

2423

ABT

10/17/2018

2.9

2.1

35.9%

B

128060

URI

10/17/2018

5.4

4.7

15.4%

B

39690

CCI

10/17/2018

2.6

1.8

46.4%

C

28515

SLG

10/17/2018

3.5

1.7

107.8%

D

1607

PPG

10/18/2018

3.2

2.2

42.2%

C

6735

WDFC

10/18/2018

4.8

3.8

26.1%

B

2304

NUE

10/18/2018

3.2

2.2

44.9%

B

19475

SKX

10/18/2018

12.6

17.6

-28.4%

D

4693

GPC

10/18/2018

3.7

3.7

0.0%

A

7116

PM

10/18/2018

3.2

4.1

-22.5%

C

137595

BK

10/18/2018

3.6

3.6

-1.1%

C

29215

BX

10/18/2018

2.8

1.4

98.0%

D

108503

BBT

10/18/2018

3.0

2.5

19.7%

B

20834

KEY

10/18/2018

3.5

2.7

30.4%

B

5096

ETFC

10/18/2018

6.9

2.4

183.6%

C

32974

ADS

10/18/2018

4.9

4.1

17.4%

B

8457

AXP

10/18/2018

3.6

3.5

3.8%

C

97206

PYPL

10/18/2018

5.6

4.7

18.2%

D

283472

TRV

10/18/2018

3.1

2.9

4.9%

B

15928

DHR

10/18/2018

3.1

3.0

2.4%

A

14431

ISRG

10/18/2018

5.6

4.2

31.5%

C

189878

TXT

10/18/2018

4.5

3.2

39.5%

B

10092

DOV

10/18/2018

4.4

2.9

52.8%

D

8685

SNA

10/18/2018

5.5

5.7

-3.3%

A

8825

ATHN

10/18/2018

6.6

10.0

-33.8%

B

43165

VICR

10/18/2018

15.0

13.2

13.6%

F

4865

CLF

10/19/2018

8.4

9.3

-10.0%

C

34348

VFC

10/19/2018

3.9

4.5

-13.4%

C

18504

PG

10/19/2018

2.6

2.5

6.2%

C

110482

SLB

10/19/2018

3.6

1.5

144.6%

D

136955

STT

10/19/2018

3.9

4.1

-5.8%

D

15539

STI

10/19/2018

2.8

1.5

82.3%

B

12241

CFG

10/19/2018

3.8

1.9

99.7%

B

2817

SYF

10/19/2018

4.7

3.5

33.8%

D

20736

MAN

10/19/2018

5.8

5.4

8.0%

C

5510

HON

10/19/2018

2.7

1.9

41.2%

C

143993

KSU

10/19/2018

3.4

2.3

50.6%

A

18929

 

Volatility Standouts

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CTXS

74.95%

C

0.00%

57.71

17636

DVA

73.15%

D

0.50%

98.02

47695

LBRDK

72.20%

B

0.14%

3.16

97

SAGE

70.40%

F

-0.08%

50.20

13545

CDK

69.57%

A

-0.68%

57.31

2794

DISH

68.39%

C

-3.84%

57.71

32293

CTAS

68.17%

A

1.10%

28.46

27621

PSTG

67.51%

F

-2.74%

37.94

5996

ETFC

66.68%

C

0.49%

95.26

32974

AXTA

66.28%

D

-0.73%

22.13

43615

DLTH

65.99%

B

-4.07%

41.11

1425

CZR

65.64%

D

-2.95%

69.96

29589

VST

65.60%

C

-1.59%

33.48

17049

PH

65.56%

B

-3.06%

79.05

19949

CCL

65.00%

C

-2.46%

40.32

41241

PANW

64.84%

D

0.86%

54.94

88315

COST

64.53%

B

0.69%

72.73

259395

AZO

64.24%

B

-1.02%

9.49

112879

PCG

63.92%

C

-0.89%

60.87

52285

PRTY

63.67%

C

-0.77%

58.89

1450

FHN

62.96%

C

-0.20%

89.33

1635

LOW

62.67%

D

-2.16%

81.82

149474

AFL

61.64%

A

-1.57%

72.33

15910

KDP

61.28%

F

-3.97%

95.65

920

 

 

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

XOXO

-73.96%

C

0.00%

2.77

961

SONC

-70.78%

C

0.50%

1.98

3976

AKRX

-58.51%

F

0.14%

47.04

12804

EVHC

-50.91%

B

-0.08%

13.04

2119

CA

-44.55%

B

-0.68%

15.08

388

IDTI

-37.51%

C

-3.84%

3.16

2136

CASA

-35.32%

D

1.10%

28.28

388

TTD

-31.44%

D

-2.74%

99.21

90150

BBY

-30.78%

C

0.49%

62.45

115128

OCLR

-25.61%

C

-0.73%

13.83

301

INFN

-24.72%

C

-4.07%

96.05

2630

DXC

-24.54%

A

-2.95%

57.54

5668

SNAP

-23.16%

F

-1.59%

92.49

121531

DY

-22.85%

F

-3.06%

50.20

1376

USG

-22.40%

C

-2.46%

26.88

360

FOSL

-21.22%

F

0.86%

75.10

3427

P

-19.69%

F

0.69%

0.79

22497

ATHN

-18.90%

B

-1.02%

49.01

43165

ANF

-18.88%

D

-0.89%

79.45

4931

SKX

-18.32%

D

-0.77%

86.17

4693

THS

-17.65%

D

-0.20%

76.28

5958

EXAS

-17.40%

F

-2.16%

47.83

26077

EEFT

-17.20%

A

-1.57%

88.93

2879

HDP

-16.61%

F

-3.97%

41.90

2200